Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0067 |
| Annualized Std Dev | 0.2738 |
| Annualized Sharpe (Rf=0%) | -0.0244 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5486.0000 |
| NAs | 1.0000 |
| Minimum | -0.1961 |
| Quartile 1 | -0.0081 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0079 |
| Maximum | 0.1585 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0172 |
| Skewness | 0.0046 |
| Kurtosis | 11.4050 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0133 |
| Loss Deviation | 0.0128 |
| Downside Deviation (MAR=210%) | 0.0168 |
| Downside Deviation (Rf=0%) | 0.0120 |
| Downside Deviation (0%) | 0.0120 |
| Maximum Drawdown | 0.6225 |
| Historical VaR (95%) | -0.0250 |
| Historical ES (95%) | -0.0384 |
| Modified VaR (95%) | -0.0243 |
| Modified ES (95%) | -0.0263 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-02-04 | 2008-11-21 | 2016-06-23 | -0.6225 | 4273 | 2444 | 1829 |
| 2016-07-25 | 2020-03-23 | NA | -0.4513 | 1173 | 922 | NA |
| 1999-01-11 | 1999-01-20 | 1999-02-02 | -0.0562 | 16 | 7 | 9 |
| 2016-06-24 | 2016-06-29 | 2016-07-08 | -0.0550 | 10 | 4 | 6 |
| 1999-01-06 | 1999-01-07 | 1999-01-08 | -0.0337 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 0 | -1.2 | -1.2 | -1.2 | -1.2 | 1.3 | 0 | 1.3 | 0 | 1.4 | -0.8 |
| 2000 | 0 | -1.4 | 1.4 | 1.4 | 1.4 | -1.3 | 2.7 | 1.3 | 2.5 | 1.4 | 0 | 1.4 | 11.4 |
| 2001 | 3 | 1.6 | 4 | -0.6 | 0.6 | 0.6 | 1 | 1.1 | -2.5 | 1.6 | 1.9 | -0.2 | 12.5 |
| 2002 | -1.3 | -1.7 | 1.2 | 0.8 | -3.4 | 0 | 2.1 | 2.1 | 0.2 | -1.3 | -1.9 | -0.4 | -3.8 |
| 2003 | 1 | -0.2 | 0.6 | 0 | -1 | -1.4 | -1.9 | 1.3 | -0.4 | 0 | -0.2 | 1 | -1.2 |
| 2004 | -1.2 | -1.4 | -1 | 0.5 | 0.2 | 0 | 0 | -0.2 | -1.4 | 0.2 | 2.2 | 0.2 | -1.9 |
| 2005 | 0 | -1.8 | 0.7 | -0.9 | -1.1 | 0.7 | -2.8 | 0.2 | 0 | 0.7 | -0.5 | -0.8 | -5.4 |
| 2006 | -0.7 | 0.5 | 0.8 | 0.5 | 1 | 0.8 | 0.5 | 0.8 | -0.8 | -1.4 | -0.9 | 0.5 | 1.5 |
| 2007 | 1.7 | 0.2 | -1 | 0 | -0.7 | 0.8 | 1 | 0 | -0.3 | 0.8 | -1.5 | 0 | 1 |
| 2008 | 1 | -1.9 | -1.4 | 1 | -0.2 | 0.3 | 1.3 | 0 | 2.6 | 0 | 6.4 | 1.9 | 11.2 |
| 2009 | 0 | -5.7 | 0 | 0.8 | 1.4 | -0.3 | 0.3 | 0 | 1.5 | 1.2 | 3.7 | 3.1 | 5.8 |
| 2010 | 0 | 2.2 | -0.3 | 1.9 | 1.4 | 3.5 | 0.6 | -1.1 | 1.8 | 0.5 | 1 | -0.2 | 11.8 |
| 2011 | -2.4 | 0.5 | 0 | -2.2 | 0 | 2.6 | 3.4 | 0.7 | -1.2 | -2.6 | 0 | 0.5 | -0.9 |
| 2012 | -0.3 | -0.7 | 2.3 | 1.2 | -0.5 | 0.2 | 0 | 3.2 | 0.7 | 1.5 | 0.8 | -0.5 | 8.2 |
| 2013 | -0.8 | -2.4 | -2.3 | 0.2 | 0 | 0.8 | 0 | 0.7 | 0.5 | 0.3 | 0 | -1.1 | -4.1 |
| 2014 | -1.3 | -1 | 1.1 | -0.3 | -6.4 | 1.3 | 2.5 | 0 | 1.9 | 0.3 | -4.1 | 0 | -6.2 |
| 2015 | 2.6 | -0.3 | 4 | 0.3 | -0.6 | 6.2 | 2.7 | 0 | -4.3 | 1.3 | 1.8 | 1.4 | 15.8 |
| 2016 | -0.5 | 1.5 | -1.2 | -0.2 | -0.8 | 1.1 | -1.9 | -1.1 | -0.8 | -1.3 | -2 | 4.6 | -2.7 |
| 2017 | -1.1 | -0.4 | 0.4 | -0.2 | -0.4 | -0.4 | 0.8 | 0 | 0 | 0.4 | 0 | -0.4 | -1.3 |
| 2018 | 0.2 | -0.2 | 2.3 | 0.5 | 0 | 1.2 | -0.1 | 0.1 | 0.5 | 1.1 | 0 | 0.8 | 6.6 |
| 2019 | -0.5 | 0.3 | -1.8 | -0.8 | -0.8 | 1.3 | -1.7 | -2 | -1.5 | 0.5 | -0.9 | 0.7 | -7.1 |
| 2020 | -1.4 | 4.4 | -2.8 | -5.5 | -0.2 | 2.1 | -0.1 | 1 | 2 | -1.2 | 0 | -0.6 | -2.9 |
| 2021 | -0.5 | 1.6 | 1.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
